Value at Risk Model Estimation Software

Programs and Software from Australian Prudential Regulation Authority

Keywords: Value-at-Risk; RATS; Garch (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: Written 1999-01-31
Note: This software is provided for public non-commercial illustrative purposes only. The author takes no responsibility for any errors. Use it at your own risk.

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http://www.apra.gov.au/RePEc/RePEcDocs/Archive/code/cd0001.zip main text (application/zip)

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Address: 400 George Street, Sydney, NSW 2000, Australia
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